If you want the alert to occur while the user is typing (or at least before they move on to the next page) use a client side script (i.e. Javascript). If you want to alert them after processing the page, any server side script will do.

Either way, you could check each character individually and compare it to its ascii code. If the code falls within a certain range you know that it is a capital letter. (I don't know what the range of capital letters is off the top of my head)

You could also use a statement such as:
if ucase(password)=password then
'This password is all uppercase
end if

ucase is the vbscript command for converting a string to all upper case.

IMO you should do this after the user submits info AND the information doesn't match. That way if a user really does have an all uppercase password, he/she isn't bothered everytime they try to enter their password.